The advantage is with docks you can swap out drives at any time and many support 2.5" and 3.5" drive form factors. The are very flexible with capacity only limited to the number of drives you have.

External drives are generally a smaller form factor and more portable depending on what you buy. You are locked into a capacity and if the drive dies, it's a paper weight. Generally they are USB powered whereas many docks require external AC power. Many come with software for backups, protecting data, etc.

If you just want an external USB drive for your desktop and don't plan on carting it anywhere a dock work nicely - especially if you're like me and have a bunch of extra drives laying around. The best way to go with a dock is get one with an eSATA port if your host PC supports it to take advantage of the extra speed/bandwidth.